Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … targeting quasi-maximum likelihood estimator for the VT-BEKK model. Monte Carlo experiments show that the bias of the 2sQML … diagonal BEKK or the diagonal RBEKK models. An empirical analysis of the returns of stocks listed on the Dow Jones Industrial …